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对变系数组合ZK方程进行白噪声扰动得到的Wick型随机组合ZK方程进行了研究.在Kondratiev分布空间(S)-1中利用白噪声分析,Hermite变换和多项式展开法,得到Wick型随机组合ZK方程的白噪声泛函解和变系数组合ZK方程的精确解. 相似文献
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利用白噪声分析、Hermite变换和双曲正切法来研究随机偏微分KleinGordon方程,并在Kondratiev分布空间(S)-1-上分别获得了变系数Klein-Gordon方程和Wick型随机Klein-Gordon方程的精确解和白噪声泛函解. 相似文献
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Wick型随机非线性Schr(o)dinger方程的白噪声泛函解 总被引:1,自引:0,他引:1
本文对变系数非线性Schr(o)dinger方程通过白噪声扰动得到的Wick型随机非线性Schr(o)dinger方程进行了研究,利用Hermite变换和Painlevé展开方法给出了该方程的白燥声泛函解. 相似文献
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随机分析和白噪声理论的建立和发展为浅水波方程的研究提供了新的内容,方法和工具.本文研究随机环境下(2+1)维mZK方程的精确解问题.在Kondratiev分布空间(y)-1中利用Hermite变换和改进的Fan代数方法,得到Wick型随机(2+1)维mZK方程和变系数(2+1)维mZK方程的白噪声泛函解和精确解. 相似文献
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白噪声广义算子在白噪声分析理论及其应用中起着十分重要的作用.
本文主要讨论了白噪声广义算子值函数的积分及相关问题.
主要工作有: 引入了广义算子值测度的概念,
分别讨论了这种测度在象征和算子p-范数意义下的变差及相互关系;
借助于广义算子的Wick积运算,
引入了广义算子值函数关于广义算子值测度的一种积分---Bochner-Wick积分,
讨论了这种积分的性质, 建立了相应的收敛定理并且展示了其在量子白噪声理论中的应用;
探讨了Bochner-Wick积分的Fubini定理及相关问题. 相似文献
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胡耀忠 《数学物理学报(B辑英文版)》2010,(6):2033-2050
In this paper we study the integral curve in a random vector field perturbed by white noise. It is related to a stochastic transport-diffusion equation. Under some conditions on the covariance function of the vector field, the solution of this stochastic partial differential equation is proved to have moments. The exact p-th moment is represented through integrals with respect to Brownian motions. The basic tool is Girsanov formula. 相似文献
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In this paper we study the integral curve in a random vector field perturbed by white noise. It is related to a stochastic transport-diffusion equation. Under some conditions on the covariance function of the vector field, the solution of this stochastic partial differential equation is proved to have moments. The exact p-th moment is represented through integrals with respect to Brownian motions. The basic tool is Girsanov formula. 相似文献
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Yuliya Mishura 《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(4):363-381
We modify the Hu-Øksendal and Elliot-van der Hoek approach to arbitrage-free financial markets driven by a fractional Brownian motion that is defined on a white noise space. We deduce and solve a Black–Scholes fractional equation for constant volatility and outline the corresponding equation with stochastic volatility. As an auxiliary result, we produce some simple conditions implying the existence of the Wick integral w.r.t. fractional noise. 相似文献
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《Stochastic Processes and their Applications》2020,130(9):5735-5767
We consider a Lévy process in the plane and we use it to construct a family of complex-valued random fields that we show to converge in law, in the space of continuous functions, to a complex Brownian sheet. We apply this result to obtain weak approximations of the random field solution to a semilinear one-dimensional stochastic heat equation driven by the space–time white noise. 相似文献
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The aim of this paper is to study the d-dimensional stochastic heat equation with a multiplicative Gaussian noise which is white in space and has the covariance of a fractional Brownian motion with Hurst parameter H ∈ (0,1) in time. Two types of equations are considered. First we consider the equation in the Itô-Skorohod sense, and later in the Stratonovich sense. An explicit chaos expansion for the solution is obtained. On the other hand, the moments of the solution are expressed in terms of the exponential moments of some weighted intersection local time of the Brownian motion. 相似文献
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Fractional Brownian Motion and Sheet as White Noise Functionals 总被引:1,自引:0,他引:1
Zhi Yuan HUANG Chu Jin LI Jian Ping WAN Ying WU 《数学学报(英文版)》2006,22(4):1183-1188
In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises, and the fractional white noise calculus developed by Hu and Фksendal follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the Ito type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also briefly discussed. 相似文献
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Yan Zheng 《数学学报(英文版)》2016,32(12):1509-1514
The current paper is devoted to stochastic Burgers equation with driving forcing given by white noise type in time and periodic in space. Motivated by the numerical results of Hairer and Voss, we prove that the Burgers equation is stochastic stable in the sense that statistically steady regimes of fluid flows of stochastic Burgers equation converge to that of determinstic Burgers equation as noise tends to zero. 相似文献
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《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(3-4):259-277
Systems of Wick stochastic differential equations are studied. Using an estimate on the Wick product we apply Picard iteration to prove a general existence and uniqueness theorem for systems of Wick stochastic differential equations. We also show the solution is stable with respect to perturbations of the noise. This result is used to show that the solution of a linear system of Wick stochastic differential equations driven by smoothed Brownian motion tends to the solution of the corresponding It equation as the smoothed process tends to Brownian motion 相似文献
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Functionals of Brownian motion can be dealt with by realizing them as functionals of white noise. Specifically, for quadratic functionals of Brownian motion, such a realization is a powerful tool to investigate them. There is a one-to-one correspondence between a quadratic functional of white noise and a symmetric L2(R2)-function which is considered as an integral kernel. By using well-known results on the integral operator we can study probabilistic properties of quadratic or certain exponential functionals of white noise. Two examples will illustrate their significance. 相似文献